Continuous affine processes: transformations, Markov chains and life insurance

DOI10.1017/apr.2016.8zbMath1414.91167OpenAlexW2413898838MaRDI QIDQ5740696

Kristian Buchardt

Publication date: 27 July 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://projecteuclid.org/euclid.aap/1465490756

zbMATH Keywords

credit riskstochastic intereststochastic mortalitymulti-state life insurance modelsdoubly stochastic process

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Credit risk (91G40)

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